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Pioneer Funds - Absolute Return Multi-Strategy
Schedule of Investments as at 31 December 2012 (expressed in EUR) (continued)
Outstanding Options Contracts as at 31 December 2012 (expressed in EUR)
Maturity Date
Quantity
Contract
Strike Price
(in Trade Ccy)
Commitment
(in Trade Ccy)
Trade
Currency
Market Price
(in Fund Ccy)
Unrealised
Gain/(Loss)
Short Positions
15-Mar-13 (34)
15-Mar-13 (168)
17-Jan-13 (843,882)
15-Mar-13 (34)
15-Mar-13 (168)
16-Mar-13 (8)
05-Feb-13 (1,000,000)
Call Dj Euro Stoxx 50 Eur
Call Euro Stoxx Banks
Call EUR/ZAR
Put Dj Euro Stoxx 50 Eur
Put Euro Stoxx Banks
Put S&P 500 Index
Put USD/TRY
2,750.00
120.00
11.85
2,250.00
80.00
1,325.00
1.75
250,076 EUR
(11,118)
5,558
4,732 EUR
(18,480)
24,360
10,000,000 EUR
(347)
13,253
82,168 EUR
(5,100)
16,927
526 EUR
(1,680)
25,201
2,417 USD
(14,126)
6,071
1,327,367 USD
(456)
2,282
(51,307)
93,652
Long Positions
15-Mar-13 34
Call Dj Euro Stoxx 50 Eur
15-Mar-13 168
Call Euro Stoxx Banks
16-Mar-13 8
Call S&P 500 Index
05-Feb-13 1,000,000 Call USD/TRY
Total Net Unrealised Gain/(Loss) on Options Contracts
2,600.00
110.00
1,475.00
1.82
EUR
EUR
USD
USD
33,422
53,759
7,919
3,258
98,358
(1,201)
(23,520)
(21,729)
(6,365)
(52,815)
40,837
Outstanding Swaps as at 31 December 2012 (expressed in EUR)
Maturity Date
20-Dec-17
20-Dec-17
20-Dec-17
30-Jul-22
27-Nov-22
03-Jul-22
21-Nov-17
25-Jul-22
26-Oct-22
19-Jul-22
18-Nov-37
27-Sep-15
07-Dec-37
31-Aug-17
18-Nov-37
07-Dec-37
07-Sep-22
21-Sep-17
29-Dec-21
13-Jul-17
31-Aug-22
30-Nov-17
23-Jul-17
31-Oct-17
30-Aug-22
05-Jul-22
01-Jun-22
06-Nov-17
10-Oct-17
19-Dec-22
Contract
Credit Default Swap Seller
Credit Default Swap Seller
Credit Default Swap Seller
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Interest Rate Swap
Underlying
iTraxx Europe Series 18
iTraxx Europe Series 18
iTraxx Europe Series 18
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Received Rate
1.000%
1.000%
1.000%
3.755%
3.843%
2.166%
1.683%
0.895%
Libor 6M
0.960%
Euribor 6M
EUR-EXT-CPI
Euribor 6M
EUR-EXT-CPI
3.750%
3.825%
UK-RPI
UK-RPI
Libor 6M
5.040%
5.965%
3.360%
2.620%
2.530%
3.145%
3.883%
3.748%
3.108%
8.140%
Sibor 6M
Paid Rate Currency Nominal
Unrealised
Gain/(Loss)
- EUR 1,850,000 (14,452)
- EUR 1,700,000 (13,280)
- EUR 2,600,000 (20,311)
BBSW 6M AUD 1,100,000
(3,236)
BBSW 6M AUD 1,000,000
724
Cdor 3M CAD 1,200,000
791
Cdor 3M CAD 1,800,000
1,147
Libor 6M CHF 1,200,000
(1,509)
0.914% CHF 1,000,000
2,054
Libor 6M CHF 1,100,000
4,274
2.802% EUR 500,000
177
1.680% EUR 2,650,000
6,675
2.840% EUR 500,000
(1,868)
1.695% EUR 1,500,000
11,027
Libor 6M GBP 400,000
(9,263)
Libor 6M GBP 400,000
(5,917)
2.910% GBP 600,000
(326)
2.810% GBP 2,500,000
(5,462)
0.979% JPY 96,100,000 (19,142)
TIIE 1M MXN 27,500,000 (14,945)
TIIE 1M MXN 15,000,000
11,332
Klibor 3M MYR 6,500,000
(6,114)
Nibor 6M NOK 13,200,000
15,703
Nibor 6M NOK 11,000,000
4,610
Nibor 6M NOK 6,600,000
4,069
BKBM 3M NZD 1,500,000
13,818
BKBM 3M NZD 1,700,000
4,803
BKBM 3M NZD 5,250,000
4,648
Moscow Mibor 3M RUB 71,000,000
48,247
1.798% SGD 1,300,000
(1,156)
The accompanying notes form an integral part of these financial statements.
Any differences in the percentage of net assets are the results of roundings.
372 Pioneer Funds - Annual Report